Convertible bonds and volatility structure
AbstractThe aim of this paper is to present a two-factor pricing model for convertible bonds, paying particular attention to the impact of volatility in the valuation process as suggested in previous studies. The model here proposed is discrete and the sources of uncertainty are the risk-free spot rate and the firm asset value.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics - University Roma Tre in its series Departmental Working Papers of Economics - University 'Roma Tre' with number 0057.
Date of creation: Dec 2005
Date of revision:
Contact details of provider:
Postal: Via Silvio d'Amico 77, - 00145 Rome Italy
Phone: +39 06 57114612
Fax: +39 06 57114771
Web page: http://host.uniroma3.it/dipartimenti/economia/it/
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-03-24 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- Ingersoll, Jonathan Jr., 1977. "A contingent-claims valuation of convertible securities," Journal of Financial Economics, Elsevier, vol. 4(3), pages 289-321, May.
- Marisa Cenci & Andrea Gheno, 2000. "Metodologie per la valutazione delle obbligazioni convertibili in ipotesi di evoluzione stocastica della struttura per scadenza," Departmental Working Papers of Economics - University 'Roma Tre' 0020, Department of Economics - University Roma Tre.
- Brennan, M J & Schwartz, Eduardo S, 1977. "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion," Journal of Finance, American Finance Association, vol. 32(5), pages 1699-1715, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Telephone for information).
If references are entirely missing, you can add them using this form.